I was really looking for a way to fetch the connection status of a device, not listen to connection events. Here's what worked for me:
BluetoothManager bm = (BluetoothManager) context.getSystemService(Context.BLUETOOTH_SERVICE);
List<BluetoothDevice> devices = bm.getConnectedDevices(BluetoothGatt.GATT);
int status = -1;
for (BluetoothDevice device : devices) {
status = bm.getConnectionState(device, BLuetoothGatt.GATT);
// compare status to:
// BluetoothProfile.STATE_CONNECTED
// BluetoothProfile.STATE_CONNECTING
// BluetoothProfile.STATE_DISCONNECTED
// BluetoothProfile.STATE_DISCONNECTING
}